Global Economic Divergence and Portfolio Capital Flows to Emerging Markets
Author
Abstract
Suggested Citation
Note: A more recent version of this paper can be found on the author's homepage sites.google.com/site/zmandalinci/home.
Download full text from publisher
Other versions of this item:
- Zeyyad Mandalinci & Haroon Mumtaz, 2019. "Global Economic Divergence and Portfolio Capital Flows to Emerging Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(6), pages 1713-1730, September.
- Zeyyad Mandalinci & Haroon Mumtaz, 2015. "Global Economic Divergence and Portfolio Capital Flows to Emerging Markets," Working Papers 757, Queen Mary University of London, School of Economics and Finance.
References listed on IDEAS
- Marta Banbura & Domenico Giannone & Lucrezia Reichlin, 2010.
"Large Bayesian vector auto regressions,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92.
- Banbura, Marta & Giannone, Domenico & Reichlin, Lucrezia, 2007. "Bayesian VARs with Large Panels," CEPR Discussion Papers 6326, C.E.P.R. Discussion Papers.
- Domenico Giannone & Martha Banbura & Lucrezia Reichlin, 2010. "Large Bayesian vector auto regressions," ULB Institutional Repository 2013/13388, ULB -- Universite Libre de Bruxelles.
- Martha Banbura & Domenico Giannone & Lucrezia Reichlin, 2008. "Large Bayesian VARs," Working Papers ECARES 2008_033, ULB -- Universite Libre de Bruxelles.
- Giannone, Domenico & Reichlin, Lucrezia & Bańbura, Marta, 2008. "Large Bayesian VARs," Working Paper Series 966, European Central Bank.
- Marta Bańbura, 2008. "Large Bayesian VARs," 2008 Meeting Papers 334, Society for Economic Dynamics.
- Forbes, Kristin J. & Warnock, Francis E., 2012.
"Capital flow waves: Surges, stops, flight, and retrenchment,"
Journal of International Economics, Elsevier, vol. 88(2), pages 235-251.
- Kristin J. Forbes & Francis E. Warnock, 2011. "Capital Flow Waves: Surges, Stops, Flight, and Retrenchment," NBER Chapters, in: Global Financial Crisis, National Bureau of Economic Research, Inc.
- Kristin J. Forbes & Francis E. Warnock, 2011. "Capital Flow Waves: Surges, Stops, Flight, and Retrenchment," NBER Working Papers 17351, National Bureau of Economic Research, Inc.
- Christiane Baumeister & Gert Peersman, 2013.
"Time-Varying Effects of Oil Supply Shocks on the US Economy,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 5(4), pages 1-28, October.
- C. Baumeister & G. Peersman, 2008. "Time-Varying Effects of Oil Supply Shocks on the US Economy," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 08/515, Ghent University, Faculty of Economics and Business Administration.
- Christiane Baumeister & Gert Peersman, 2012. "Time-Varying Effects of Oil Supply Shocks on the U.S. Economy," Staff Working Papers 12-2, Bank of Canada.
- Gert Peersman & Christiane Baumeister, 2009. "Time-Varying Effects of Oil Supply Shocks on the US Economy," 2009 Meeting Papers 171, Society for Economic Dynamics.
- Chuhan, Punam & Claessens, Stijn & Mamingi, Nlandu, 1998. "Equity and bond flows to Latin America and Asia: the role of global and country factors," Journal of Development Economics, Elsevier, vol. 55(2), pages 439-463, April.
- Diebold, Francis X. & Li, Canlin & Yue, Vivian Z., 2008.
"Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach,"
Journal of Econometrics, Elsevier, vol. 146(2), pages 351-363, October.
- Diebold, Francis X. & Li, Canlin & Yue, Vivian Z., 2007. "Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach," CFS Working Paper Series 2008/27, Center for Financial Studies (CFS).
- Francis X. Diebold & Canlin Li & Vivian Z. Yue, 2007. "Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach," PIER Working Paper Archive 07-030, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Francis X. Diebold & Canlin Li & Vivian Z. Yue, 2007. "Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach," NBER Working Papers 13588, National Bureau of Economic Research, Inc.
- Leif Anders Thorsrud, 2013.
"Global and regional business cycles. Shocks and propagations,"
Working Papers
No 3/2013, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Leif Anders Thorsrud, 2013. "Global and regional business cycles. Shocks and propagations," Working Paper 2013/08, Norges Bank.
- Jushan Bai & Serena Ng, 2002.
"Determining the Number of Factors in Approximate Factor Models,"
Econometrica, Econometric Society, vol. 70(1), pages 191-221, January.
- Jushan Bai & Serena Ng, 2000. "Determining the Number of Factors in Approximate Factor Models," Econometric Society World Congress 2000 Contributed Papers 1504, Econometric Society.
- Jushan Bai & Serena Ng, 2000. "Determining the Number of Factors in Approximate Factor Models," Boston College Working Papers in Economics 440, Boston College Department of Economics.
- M. Ayhan Kose & Christopher Otrok & Eswar Prasad, 2012.
"Global Business Cycles: Convergence Or Decoupling?,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 53(2), pages 511-538, May.
- M. Ayhan Kose & Christopher Otrok & Eswar S. Prasad, 2008. "Global Business Cycles: Convergence or Decoupling?," NBER Working Papers 14292, National Bureau of Economic Research, Inc.
- Kose, M. Ayhan & Otrok, Christopher & Prasad, Eswar, 2008. "Global Business Cycles: Convergence or Decoupling?," IZA Discussion Papers 3442, Institute of Labor Economics (IZA).
- Ayhan Kose & Eswar S Prasad & Christopher Otrok, 2008. "Global Business Cycles; Convergence or Decoupling?," IMF Working Papers 2008/143, International Monetary Fund.
- Kose, M. Ayhan & Otrok, Christopher M. & Prasad, Eswar S., 2008. "Global business cycles: convergence or decoupling?," Discussion Paper Series 1: Economic Studies 2008,17, Deutsche Bundesbank.
- Christiane Baumeister & Luca Benati, 2013.
"Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound,"
International Journal of Central Banking, International Journal of Central Banking, vol. 9(2), pages 165-212, June.
- Christiane Baumeister & Luca Benati, 2012. "Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound," Staff Working Papers 12-21, Bank of Canada.
- Hideaki Hirata & M. Ayhan Kose & Christopher Otrok & Marco E Terrones, 2013.
"Global House Price Fluctuations: Synchronization and Determinants,"
NBER International Seminar on Macroeconomics, University of Chicago Press, vol. 9(1), pages 119-166.
- Hideaki Hirata & M. Ayhan Kose & Christopher Otrok & Marco E. Terrones, 2012. "Global House Price Fluctuations: Synchronization and Determinants," NBER Chapters, in: NBER International Seminar on Macroeconomics 2012, pages 119-166, National Bureau of Economic Research, Inc.
- Hideaki Hirata & M. Ayhan Kose & Chris Otrok & Marco Terrones, "undated". "Global House Price Fluctuations: Synchronization and Determinants," Working Paper 164451, Harvard University OpenScholar.
- Hideaki Hirata & M. Ayhan Kose & Christopher Otrok & Marco E. Terrones, 2013. "Global House Price Fluctuations: Synchronization and Determinants," CAMA Working Papers 2013-07, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Hideaki Hirata & Ayhan Kose & Christopher Otrok & Marco Terrones, 2013. "Global House Price Fluctuations; Synchronization and Determinants," IMF Working Papers 2013/038, International Monetary Fund.
- Hideaki Hirata & M. Ayhan Kose & Christopher Otrok & Marco E. Terrones, 2012. "Global House Price Fluctuations: Synchronization and Determinants," NBER Working Papers 18362, National Bureau of Economic Research, Inc.
- Christiano, Lawrence J. & Eichenbaum, Martin & Evans, Charles L., 1999.
"Monetary policy shocks: What have we learned and to what end?,"
Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.),Handbook of Macroeconomics, edition 1, volume 1, chapter 2, pages 65-148,
Elsevier.
- Lawrence J. Christiano & Martin Eichenbaum & Charles L. Evans, 1997. "Monetary policy shocks: what have we learned and to what end?," Working Paper Series, Macroeconomic Issues WP-97-18, Federal Reserve Bank of Chicago.
- Lawrence J. Christiano & Martin Eichenbaum & Charles L. Evans, 1998. "Monetary Policy Shocks: What Have We Learned and to What End?," NBER Working Papers 6400, National Bureau of Economic Research, Inc.
- Mumtaz, Haroon & Theodoridis, Konstantinos, 2017.
"Common and country specific economic uncertainty,"
Journal of International Economics, Elsevier, vol. 105(C), pages 205-216.
- Haroon Mumtaz & Konstantinos Theodoridis, 2015. "Common and Country Specific Economic Uncertainty," Working Papers 752, Queen Mary University of London, School of Economics and Finance.
- Haroon Mumtaz & Konstantinos Theodoridis, 2015. "Common and Country Specific Economic Uncertainty," Working Papers 752, Queen Mary University of London, School of Economics and Finance.
- Haroon Mumtaz & Paolo Surico, 2009.
"The Transmission of International Shocks: A Factor-Augmented VAR Approach,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(s1), pages 71-100, February.
- Haroon Mumtaz & Paolo Surico, 2009. "The Transmission of International Shocks: A Factor‐Augmented VAR Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(s1), pages 71-100, February.
- Marta Banbura & Domenico Giannone & Lucrezia Reichlin, 2010.
"Large Bayesian vector auto regressions,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92.
- Marta Bańbura & Domenico Giannone & Lucrezia Reichlin, 2010. "Large Bayesian vector auto regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92, January.
- Domenico Giannone & Martha Banbura & Lucrezia Reichlin, 2010. "Large Bayesian vector auto regressions," ULB Institutional Repository 2013/13388, ULB -- Universite Libre de Bruxelles.
- Mody, Ashoka & Taylor, Mark P & Kim, Jung Yeon, 2001. "Modelling Fundamentals for Forecasting Capital Flows to Emerging Markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 6(3), pages 201-216, July.
- Liu, Philip & Mumtaz, Haroon & Theophilopoulou, Angeliki, 2014. "The transmission of international shocks to the UK. Estimates based on a time-varying factor augmented VAR," Journal of International Money and Finance, Elsevier, vol. 46(C), pages 1-15.
- Giorgio E. Primiceri, 2005. "Time Varying Structural Vector Autoregressions and Monetary Policy," Review of Economic Studies, Oxford University Press, vol. 72(3), pages 821-852.
- Andrew Binning, 2013. "Underidentified SVAR models: A framework for combining short and long-run restrictions with sign-restrictions," Working Paper 2013/14, Norges Bank.
- Edison, Hali J. & Warnock, Francis E., 2008.
"Cross-border listings, capital controls, and equity flows to emerging markets,"
Journal of International Money and Finance, Elsevier, vol. 27(6), pages 1013-1027, October.
- Hali J Edison & Francis E. Warnock, 2003. "Cross-Border Listings, Capital Controls, and U.S. Equity Flows to Emerging Markets," IMF Working Papers 2003/236, International Monetary Fund.
- Hali J. Edison & Francis E. Warnock, 2006. "Cross-border Listings, Capital Controls, and Equity Flows To Emerging Markets," NBER Working Papers 12589, National Bureau of Economic Research, Inc.
- Fernandez-Arias, Eduardo & Montiel, Peter J, 1996. "The Surge in Capital Inflows to Developing Countries: An Analytical Overview," World Bank Economic Review, World Bank Group, vol. 10(1), pages 51-77, January.
- Ben S. Bernanke & Jean Boivin & Piotr Eliasz, 2005. "Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach," The Quarterly Journal of Economics, Oxford University Press, vol. 120(1), pages 387-422.
- Jushan Bai & Peng Wang, 2015. "Identification and Bayesian Estimation of Dynamic Factor Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(2), pages 221-240, April.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Zeyyad Mandalinci, 2015.
"Effects of Monetary Policy Shocks on UK Regional Activity: A Constrained MFVAR Approach,"
Working Papers
758, Queen Mary University of London, School of Economics and Finance.
- Zeyyad Mandalinci, 2015. "Effects of Monetary Policy Shocks on UK Regional Activity: A Constrained MFVAR Approach," Working Papers 758, Queen Mary University of London, School of Economics and Finance.
- Grigoraş, Veaceslav & Stanciu, Irina Eusignia, 2016.
"New evidence on the (de)synchronisation of business cycles: Reshaping the European business cycle,"
International Economics, Elsevier, vol. 147(C), pages 27-52.
- Veaceslav Grigoras & Irina Eusignia Stanciu, 2016. "New evidence on the (de)synchronisation of business cycles: Reshaping the European business cycle," International Economics, CEPII research center, issue 147, pages 27-52.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Boero, Gianna & Mandalinci, Zeyyad & Taylor, Mark P., 2019.
"Modelling portfolio capital flows in a global framework: Multilateral implications of capital controls,"
Journal of International Money and Finance, Elsevier, vol. 90(C), pages 142-160.
- Boero, Gianna & Mandalinci, Zeyyad & Taylor, Mark P, 2016. "Modelling Portfolio Capital Flows in a Global Framework: Multilateral Implications of Capital Controls," CEPR Discussion Papers 11689, C.E.P.R. Discussion Papers.
- Chevallier, Julien, 2011.
"Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model,"
Economic Modelling, Elsevier, vol. 28(1), pages 557-567.
- Chevallier, Julien, 2011. "Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model," Economic Modelling, Elsevier, vol. 28(1-2), pages 557-567, January.
- Forni, Mario & Gambetti, Luca, 2010.
"The dynamic effects of monetary policy: A structural factor model approach,"
Journal of Monetary Economics, Elsevier, vol. 57(2), pages 203-216, March.
- Mario Forni & Luca Gambetti, 2008. "The dynamic e ects of monetary policy: A structural factor model approach," Center for Economic Research (RECent) 026, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Forni, Mario & Gambetti, Luca, 2008. "The Dynamic Effects of Monetary Policy: A Structural Factor Model Approach," CEPR Discussion Papers 7098, C.E.P.R. Discussion Papers.
- Knut Are Aastveit & Hilde C. Bjørnland & Leif Anders Thorsrud, 2015.
"What Drives Oil Prices? Emerging Versus Developed Economies,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(7), pages 1013-1028, November.
- Knut Are Aastveit & Hilde C. Bjørnland & Leif Anders Thorsrud, 2012. "What drives oil prices? Emerging versus developed economies," Working Papers No 2/2012, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Knut Are Aastveit & Hilde C. Bjornland, 2013. "What drives oil prices? Emerging versus developed economies," CAMA Working Papers 2013-11, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Knut Are Aastveit & Hilde C. Bjørnland & Leif Anders Thorsrud, 2012. "What drives oil prices? Emerging versus developed economies," Working Paper 2012/11, Norges Bank.
- Koop, Gary & Korobilis, Dimitris & Pettenuzzo, Davide, 2019.
"Bayesian compressed vector autoregressions,"
Journal of Econometrics, Elsevier, vol. 210(1), pages 135-154.
- Gary Koop & Dimitris Korobilis & Davide Pettenuzzo, 2016. "Bayesian Compressed Vector Autoregressions," Working Papers 103, Brandeis University, Department of Economics and International Businesss School.
- Gary Koop & Dimitris Korobilis & Davide Pettenuzzo, 2017. "Bayesian Compressed Vector Autoregressions," Working Paper series 17-32, Rimini Centre for Economic Analysis.
- Gary Koop & Dimitris Korobilis & Davide Pettenuzzo, 2016. "Bayesian Compressed Vector Autoregressions," Working Papers 2016_09, Business School - Economics, University of Glasgow.
- Gary Koop & Dimitris Korobilis & Davide Pettenuzzo, 2016. "Bayesian Compressed Vector Autoregressions," Working Papers 103R, Brandeis University, Department of Economics and International Businesss School, revised Apr 2016.
- Magnus Reif, 2020. "Macroeconomics, Nonlinearities, and the Business Cycle," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 87.
- Helmut Lütkepohl, 2014.
"Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey,"
Discussion Papers of DIW Berlin
1351, DIW Berlin, German Institute for Economic Research.
- Helmut Lütkepohl, 2014. "Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey," SFB 649 Discussion Papers SFB649DP2014-004, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Berg, Tim O. & Henzel, Steffen R., 2015.
"Point and density forecasts for the euro area using Bayesian VARs,"
International Journal of Forecasting, Elsevier, vol. 31(4), pages 1067-1095.
- Tim Oliver Berg & Steffen Henzel, 2013. "Point and Density Forecasts for the Euro Area Using Many Predictors: Are Large BVARs Really Superior?," ifo Working Paper Series 155, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- Berg, Tim Oliver & Henzel, Steffen, 2013. "Point and Density Forecasts for the Euro Area Using Many Predictors: Are Large BVARs Really Superior?," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79783, Verein für Socialpolitik / German Economic Association.
- Martin Feldkircher & Gabriele Tondl, 2020.
"Global Factors Driving Inflation and Monetary Policy: A Global VAR Assessment,"
International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 26(3), pages 225-247, August.
- Feldkircher, Martin & Lukmanova, Elizaveta & Tondl, Gabriele, 2019. "Global Factors Driving Inflation and Monetary Policy: A Global VAR Assessment," Department of Economics Working Paper Series 289, WU Vienna University of Economics and Business.
- Martin Feldkircher & Elizaveta Lukmanova & Gabriele Tondl, 2019. "Global Factors Driving Inflation and Monetary Policy: A Global VAR Assessment," Department of Economics Working Papers wuwp289, Vienna University of Economics and Business, Department of Economics.
- Jackson, Laura E. & Owyang, Michael T. & Zubairy, Sarah, 2018.
"Debt and stabilization policy: Evidence from a Euro Area FAVAR,"
Journal of Economic Dynamics and Control, Elsevier, vol. 93(C), pages 67-91.
- Laura E. Jackson & Michael T. Owyang & Sarah Zubairy, 2017. "Debt and Stabilization Policy: Evidence from a Euro Area FAVAR," Working Papers 2017-22, Federal Reserve Bank of St. Louis.
- Kemal Bagzibagli, 2014.
"Monetary transmission mechanism and time variation in the Euro area,"
Empirical Economics, Springer, vol. 47(3), pages 781-823, November.
- Kemal Bagzibagli, 2012. "Monetary Transmission Mechanism and Time Variation in the Euro Area," Discussion Papers 12-12, Department of Economics, University of Birmingham.
- Aastveit, Knut Are, 2014. "Oil price shocks in a data-rich environment," Energy Economics, Elsevier, vol. 45(C), pages 268-279.
- Potjagailo, Galina, 2017. "Spillover effects from Euro area monetary policy across Europe: A factor-augmented VAR approach," Journal of International Money and Finance, Elsevier, vol. 72(C), pages 127-147.
- Gil-Alana, Luis A. & Gupta, Rangan & Olubusoye, Olusanya E. & Yaya, OlaOluwa S., 2016.
"Time series analysis of persistence in crude oil price volatility across bull and bear regimes,"
Energy, Elsevier, vol. 109(C), pages 29-37.
- Luis A. Gil-Alana & Rangan Gupta & Olusanya E. Olubusoye & OlaOluwa S. Yaya, 2015. "Time Series Analysis of Persistence in Crude Oil Price Volatility across Bull and Bear Regimes," Working Papers 201580, University of Pretoria, Department of Economics.
- Han, Xu, 2018. "Estimation and inference of dynamic structural factor models with over-identifying restrictions," Journal of Econometrics, Elsevier, vol. 202(2), pages 125-147.
- Gary Koop & Dimitris Korobilis, 2019.
"Forecasting with High‐Dimensional Panel VARs,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(5), pages 937-959, October.
- Gary Koop & Dimitris Korobilis, 2015. "Forecasting With High Dimensional Panel VARs," Working Papers 2015_25, Business School - Economics, University of Glasgow.
- Gary Koop & Dimitris Korobilis, 2018. "Forecasting with High-Dimensional Panel VARs," Working Paper series 18-20, Rimini Centre for Economic Analysis.
- Koop, G & Korobilis, D, 2018. "Forecasting with High-Dimensional Panel VARs," Essex Finance Centre Working Papers 21329, University of Essex, Essex Business School.
- Koop, Gary & Korobilis, Dimitris, 2015. "Forecasting with High-Dimensional Panel VARs," MPRA Paper 84275, University Library of Munich, Germany, revised 31 Jan 2018.
- Bańbura, Marta & Giannone, Domenico & Lenza, Michele, 2015.
"Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections,"
International Journal of Forecasting, Elsevier, vol. 31(3), pages 739-756.
- Giannone, Domenico & Bańbura, Marta & Lenza, Michele, 2014. "Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections," Working Paper Series 1733, European Central Bank.
- Banbura, Marta & Giannone, Domenico & Lenza, Michele, 2014. "Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections," CEPR Discussion Papers 9931, C.E.P.R. Discussion Papers.
- Martha Banbura & Domenico Giannone & Michèle Lenza, 2014. "Conditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-Sections," Working Papers ECARES ECARES 2014-15, ULB -- Universite Libre de Bruxelles.
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018.
"Bayesian Vector Autoregressions,"
The Warwick Economics Research Paper Series (TWERPS)
1159, University of Warwick, Department of Economics.
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian vector autoregressions," LSE Research Online Documents on Economics 87393, London School of Economics and Political Science, LSE Library.
- Silvia Miranda-Agrippino & Giovanni Ricco, 2018. "Bayesian Vector Autoregressions," Discussion Papers 1808, Centre for Macroeconomics (CFM).
- Silvia Miranda Agrippino & Giovanni Ricco, 2018. "Bayesian vector autoregressions," Sciences Po publications 18, Sciences Po.
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian vector autoregressions," Bank of England working papers 756, Bank of England.
- Silvia Miranda-Agrippino & Giovanni Ricco, 2018. "Bayesian vector autoregressions," Documents de Travail de l'OFCE 2018-18, Observatoire Francais des Conjonctures Economiques (OFCE).
- Romain Houssa & Lasse Bork & Hans Dewachter, 2008.
"Identification of Macroeconomic Factors in Large Panels,"
Working Papers
1010, University of Namur, Department of Economics.
- Lasse Bork & Hans Dewachter & Romain Houssa, 2009. "Identification of Macroeconomic Factors in Large Panels," CREATES Research Papers 2009-43, Department of Economics and Business Economics, Aarhus University.
- Lasse BORK & Hans DEWACHTER & Romain HOUSSA, 2009. "Identification of macroeconomic factors in large panels," Working Papers of Department of Economics, Leuven ces09.18, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
- Joshua C. C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop, 2020.
"Composite likelihood methods for large Bayesian VARs with stochastic volatility,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(6), pages 692-711, September.
- Joshua C.C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop, 2018. "Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility," Working Paper Series 44, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
- Joshua C.C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop, 2018. "Composite likelihood methods for large Bayesian VARs with stochastic volatility," CAMA Working Papers 2018-26, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
More about this item
Keywords
Portfolio capital flows; Bayesian analysis; Factor model; VAR; Emerging markets;JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
- F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MAC-2015-11-01 (Macroeconomics)
- NEP-MON-2015-11-01 (Monetary Economics)
- NEP-OPM-2015-11-01 (Open Economy Macroeconomics)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:qmw:qmwecw:wp757. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Nicholas Owen) The email address of this maintainer does not seem to be valid anymore. Please ask Nicholas Owen to update the entry or send us the correct email address. General contact details of provider: http://edirc.repec.org/data/deqmwuk.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.